Trading Strategy

2021 2022 2021-2022 2023
return 109.56% -46.63% 56.13% 1.79%
volatility 2.84% 2.54% 2.79% 0.24%
annualized sharpe ratio 0.27 -1.08 0.4 22.86
accuracy strategy 52.4% 53.55% 52.79% 52.08%
accuracy signals 53.2% 53.55% 52.79% 54.86%
better arms 99.55% 74.06% 32.31% 35.42%
difference from ATH -19.18% -55.1% -56.11% 0.0%
maximum daily gain 11.35% 8.24% 20.97% 0.54%
maximum daily loss -11.73% -15.38% -24.77% -0.03%
mean monthly return 0.75% -4.33% 1.49% NaN
best monthly return 19.65% 10.48% 30.86% NaN
worst month return -20.45% -32.59% -32.59% NaN
% time in 47.33% 51.76% 47.26% 40.97%
% buy 47.33% 51.76% 47.26% 40.97%
% hold 0.0% 0.0% 0.0% 0.0%
% sell 52.67% 48.24% 52.74% 59.03%

Low Exposure Strategy

2021 2022 2021-2022 2023
return 40.63% -8.28% 118.32% 2.48%
volatility 2.92% 2.52% 2.87% 0.43%
annualized sharpe ratio 1.01 0.03 0.52 17.89
accuracy strategy 52.4% 51.54% 50.5% 52.08%
accuracy signals 53.2% 53.55% 52.79% 54.86%
better arms 100.0% 96.89% 59.08% 84.03%
difference from ATH -17.61% -14.21% -22.57% -0.05%
maximum daily gain 11.35% 8.55% 19.53% 1.05%
maximum daily loss -14.38% -15.38% -37.77% -0.1%
mean monthly return 4.15% -0.32% 1.76% NaN
best monthly return 22.73% 13.96% 33.22% NaN
worst month return -15.79% -17.52% -28.34% NaN
% time in 44.89% 54.11% 48.07% 100.0%
% buy 21.3% 17.37% 17.64% 0.0%
% hold 54.92% 68.52% 63.84% 100.0%
% sell 23.78% 14.11% 18.51% 0.0%

High Exposure Strategy

2021 2022 2021-2022 2023
return 34.08% -23.38% 131.42% 2.48%
volatility 3.27% 2.71% 3.09% 0.43%
annualized sharpe ratio 1.33 -0.29 0.54 17.89
accuracy strategy 52.08% 51.55% 50.37% 52.08%
accuracy signals 53.2% 53.55% 52.79% 54.86%
better arms 100.0% 98.73% 70.12% 86.81%
difference from ATH -11.02% -28.43% -30.14% -0.05%
maximum daily gain 14.78% 9.41% 21.2% 1.05%
maximum daily loss -14.38% -15.38% -37.77% -0.1%
mean monthly return 6.5% -1.51% 2.08% NaN
best monthly return 34.8% 21.6% 34.8% NaN
worst month return -18.61% -20.86% -33.32% NaN
% time in 51.71% 59.94% 54.63% 100.0%
% buy 21.3% 17.37% 17.64% 0.0%
% hold 60.06% 71.99% 67.92% 100.0%
% sell 18.64% 10.64% 14.44% 0.0%

Return and Volatility

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65
StartTime 2017-08-31 2017-09-30 2017-10-31 2017-11-30 2017-12-31 2018-01-31 2018-02-28 2018-03-31 2018-04-30 2018-05-31 2018-06-30 2018-07-31 2018-08-31 2018-09-30 2018-10-31 2018-11-30 2018-12-31 2019-01-31 2019-02-28 2019-03-31 2019-04-30 2019-05-31 2019-06-30 2019-07-31 2019-08-31 2019-09-30 2019-10-31 2019-11-30 2019-12-31 2020-01-31 2020-02-29 2020-03-31 2020-04-30 2020-05-31 2020-06-30 2020-07-31 2020-08-31 2020-09-30 2020-10-31 2020-11-30 2020-12-31 2021-01-31 2021-02-28 2021-03-31 2021-04-30 2021-05-31 2021-06-30 2021-07-31 2021-08-31 2021-09-30 2021-10-31 2021-11-30 2021-12-31 2022-01-31 2022-02-28 2022-03-31 2022-04-30 2022-05-31 2022-06-30 2022-07-31 2022-08-31 2022-09-30 2022-10-31 2022-11-30 2022-12-31
Trading Strategy return 10% -3% 31% 25% 20% -22% -11% 10% 15% -8% -12% 3% -2% 0% 0% -29% 0% -3% 2% 8% 3% 17% -1% -8% -1% -15% 0% -9% 2% 16% -5% 23% 8% 12% 3% 7% 8% -8% 14% 21% 19% -8% 10% 4% 2% -20% -9% 13% 5% 8% 20% 1% -14% 0% 4% 10% -16% 3% -33% 1% -4% -8% 7% -14% -2%
volatility 2% 4% 2% 3% 5% 5% 5% 4% 2% 2% 3% 2% 2% 2% 1% 3% 3% 1% 2% 1% 1% 2% 4% 4% 2% 2% 2% 2% 1% 2% 1% 7% 2% 3% 1% 1% 1% 3% 1% 2% 2% 4% 3% 2% 2% 4% 3% 2% 2% 3% 2% 2% 3% 3% 2% 2% 2% 4% 4% 2% 2% 2% 1% 3% 1%
Low Exposure Strategy return 3% -10% 11% 33% 3% -5% -11% -2% 24% -10% 1% 10% 6% 1% -2% -28% 7% 4% 3% 9% 10% 9% -9% -3% 3% -11% -6% -14% -4% 1% -2% -10% 2% 2% -2% 4% 7% -6% 19% 7% 22% 14% 12% 23% 4% -14% 1% 1% 6% 5% 7% 8% -16% -7% 3% -2% -10% 3% -18% 14% 7% 13% 0% -8% -1%
volatility 1% 5% 1% 3% 4% 5% 5% 4% 3% 3% 4% 2% 2% 2% 2% 3% 3% 2% 1% 1% 2% 2% 3% 4% 2% 3% 2% 2% 2% 1% 2% 9% 2% 2% 1% 1% 2% 3% 1% 2% 2% 4% 2% 2% 2% 5% 3% 2% 2% 3% 2% 2% 3% 3% 3% 2% 2% 4% 4% 2% 2% 2% 1% 3% 1%
High Exposure Strategy return 2% -16% 11% 23% 14% 3% -15% -10% 19% -16% -2% 16% 17% -5% 8% -33% 3% 2% 4% 7% 12% 16% -5% -4% 6% -11% -11% -12% -5% 6% -5% -9% 9% 3% -2% 5% 9% -3% 19% 11% 14% 22% 17% 35% 4% -19% -10% 2% 8% 4% 14% 7% -6% -8% 11% 0% -16% 1% -21% 22% -1% 7% 1% -15% 1%
volatility 2% 5% 2% 4% 5% 5% 5% 4% 3% 3% 4% 2% 2% 2% 3% 4% 4% 2% 1% 1% 2% 2% 3% 4% 2% 3% 2% 2% 2% 2% 2% 9% 2% 3% 1% 1% 2% 3% 1% 2% 2% 5% 3% 3% 2% 5% 3% 2% 2% 3% 2% 2% 3% 3% 3% 2% 2% 4% 4% 3% 3% 2% 1% 4% 1%
Hold BTC Strategy return 10% -7% 48% 52% 39% -25% 0% -33% 34% -19% -15% 21% -9% -5% -4% -37% -8% -7% 11% 8% 30% 61% 27% -7% -5% -14% 10% -17% -5% 30% -9% -25% 34% 10% -3% 24% 3% -7% 28% 43% 47% 14% 36% 30% -2% -35% -6% 18% 14% -7% 40% -7% -19% -17% 12% 5% -17% -15% -37% 17% -14% -3% 5% -16% -4%
volatility 2% 7% 4% 5% 8% 7% 7% 5% 4% 3% 4% 3% 3% 2% 2% 4% 4% 3% 3% 1% 4% 4% 5% 5% 3% 3% 4% 3% 3% 3% 3% 9% 4% 4% 3% 2% 2% 3% 2% 4% 3% 5% 5% 4% 4% 6% 5% 3% 3% 4% 3% 3% 3% 3% 4% 3% 2% 4% 4% 3% 3% 3% 2% 4% 1%